G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8514
DP8514 Asset Pricing under Rational Learning about Rare Disasters
Volker Wieland; Christos Koulovatianos
发表日期2011-08-01
出版年2011
语种英语
摘要This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the likelihood of rare disasters drop to a much more pessimistic level once a disaster has occurred. Such a shift in beliefs can trigger massive declines in price-dividend ratios. Pessimistic beliefs persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations benchmark. Due to the low frequency of disasters, even an infinitely-lived investor will remain uncertain about the exact probability. Our analysis is conducted in continuous time and offers closed-form solutions for asset prices. We distinguish between rational and adaptive Bayesian learning. Rational learners account for the possibility of future changes in beliefs in determining their demand for risky assets, while adaptive learners take beliefs as given. Thus, risky assets tend to be lower-valued and price-dividend ratios vary less under adaptive versus rational learning for identical priors.
主题International Macroeconomics
关键词Adaptive learning Asset pricing Bayesian learning beliefs Controlled diffusions and jump processes Learning about jumps Rational learning
URLhttps://cepr.org/publications/dp8514
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/537348
推荐引用方式
GB/T 7714
Volker Wieland,Christos Koulovatianos. DP8514 Asset Pricing under Rational Learning about Rare Disasters. 2011.
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